There are various ways to combine projects into one master project.

Combine local Merlin projects – no Merlin Server involved:
If combining local projects of your local hard disk, you can select them all and drag onto Merlin‘s icon or double click them and select ‘combine’ or choose File > Combine Projects:

Combine shared Merlin Server projects:
If combining projects which are shared by Merlin Server, please proceed as shown here:

That is… you choose File >  Combine Projects, add the projects and open them by “remote open”. If the new master is to be shared by the same Merlin Server, save the file first on your local disk and copy it in a second step into the ‘Projects’* folder of Merlin Server.

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*) Or any other folder your Merlin Server shares.